create a website

What cycles? Data detrending in DSGE models. (2019). Tsang, Kwok Ping ; Sun, Xiaojin ; Ping, Tsang Kwok ; Xiaojin, Sun.
In: Studies in Nonlinear Dynamics & Econometrics.
RePEc:bpj:sndecm:v:23:y:2019:i:3:p:23:n:3.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 50

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. How do adaptive learning expectations rationalize stronger monetary policy response in Brazil?. (2024). Wang, Hou ; Dizioli, Allan.
    In: Latin American Journal of Central Banking (previously Monetaria).
    RePEc:eee:lajcba:v:5:y:2024:i:1:s2666143824000012.

    Full description at Econpapers || Download paper

References

References cited by this document

    References contributed by pco326-12027

  1. Šustek, R. 2011. Monetary Business Cycle Accounting. Review of Economic Dynamics 14: 592–612.
    Paper not yet in RePEc: Add citation now
  2. Adolfson, M., J. Lindé, and M. Villani. 2007. Forecasting Performance of an Open Economy DSGE Model. Econometric Reviews 26: 289–328. Aguiar, M., and G. Gopinath. 2007. Emerging Market Business Cycles: The Cycle is the Trend. Journal of Political Economy 115: 69–102.

  3. Andrle, M. 2008. The Role of Trends and Detrending in DSGE Models. MPRA Paper No. 13289.

  4. Baele, L., G. Bekaert, S. Cho, K. Inghelbrecht, and A. Moreno. 2015. Macroeconomic Regimes. Journal of Monetary Economics 70: 51–71.

  5. Baxter, M., and R. G. King. 1999. Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series. Review of Economics and Statistics 81: 575–593.

  6. Beveridge, S., and C. R. Nelson. 1981. A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the ‘Business Cycle’. Journal of Monetary economics 7: 151–174.

  7. Boivin, J., and M. Giannoni. 2006. Dsge Models in a Data-Rich Environment. Technical report, National Bureau of Economic Research.

  8. Bouakez, H., E. Cardia, and F. J. Ruge-Murcia. 2005. Habit Formation and the Persistence of Monetary Shocks. Journal of Monetary Economics 52: 1073–1088.

  9. Brubakk, L., and T. Sveen. 2009. NEMO – a New Macro Model for Forecasting and Monetary Policy Analysis. Economic Bulletin (Norges Bank) 80.
    Paper not yet in RePEc: Add citation now
  10. Calvo, G. A. 1983. Staggered Prices in a Utility-Maximizing Framework. Journal of Monetary Economics 12: 383–398.

  11. Canova, F. 1998. Detrending and Business Cycle Facts. Journal of Monetary Economics 41: 475–512.

  12. Canova, F. 2014a. Bridging DSGE Models and the Raw Data. Journal of Monetary Economics 67: 1–15.

  13. Canova, F. 2014b. Bridging DSGE Models and the Raw Data. Working Paper.
    Paper not yet in RePEc: Add citation now
  14. Canova, F., and F. Ferroni. 2011. Multiple Filtering Devices for the Estimation of Cyclical DSGE Models. Quantitative Economics 2: 73–98.

  15. Caputo, R., L. Felipe, and J. P. M. Guzman. 2006. New Keynesian Models for Chile in the Inflation-Targeting Period: A Structural Investigation. Banco Central de Chile.
    Paper not yet in RePEc: Add citation now
  16. Chari, V. V., P. J. Kehoe, and E. R. McGrattan. 2009. New Keynesian Models: Not Yet Useful for Policy Analysis. American Economic Journal: Macroeconomics 1: 242–266.

  17. Christiano, L. J., and T. J. Fitzgerald. 2003. The Band Pass Filter. International Economic Review 44: 435–465.

  18. Christiano, L. J., M. Eichenbaum, and C. L. Evans. 2005. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy 113: 1–45.

  19. Coenen, G., P. McAdam, and R. Straub. 2008. Tax Reform and Labour-Market Performance in the Euro Area: A Simulation-Based Analysis Using the New Area-Wide Model. Journal of Economic Dynamics and Control 32: 2543–2583.

  20. Cogley, T. 2001. Estimating and Testing Rational Expectations Models when the Trend Specification is Uncertain. Journal of Economic Dynamics and Control 25: 1485–1525.

  21. Cogley, T., and J. M. Nason. 1995. Effects of the Hodrick-Prescott Filter on Trend and Difference Stationary Time Series Implications for Business Cycle Research. Journal of Economic Dynamics and Control 19: 253–278.

  22. Döpke, J., J. Dovern, U. Fritsche, and J. Slacalek. 2008. Sticky Information Phillips Curves: European Evidence. Journal of Money, Credit and Banking 40: 1513–1520.

  23. Delle Chiaie, S. 2009. The Sensitivity of DSGE Models’ Results to Data Detrending. Austrian Central Bank.

  24. Diebold, F. X., F. Schorfheide, and M. Shin. 2016. Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility. Technical report, National Bureau of Economic Research.

  25. Dorich, J., M. Johnston, R. Mendes, S. Murchison, and Y. Zhang. 2013. ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model. Bank of Canada Technical Report 100.

  26. Dufourt, F. 2000. Dynamic General Equilibrium Models and the Beveridge-Nelson Facts. Technical report, Working Paper, EUREQUA-University of Paris 1.

  27. Edge, R. M., M. T. Kiley, and J.-P. Laforte. 2010. A comparison of Forecast Performance between Federal Reserve Staff Forecasts, Simple Reduced-form Models, and a DSGE model. Journal of Applied Econometrics 25: 720–754.

  28. Florian, D., and C. Montoro. 2009. Development of MEGA-D: A DSGE Model for Policy Analysis. Central Reserve Bank of Peru.
    Paper not yet in RePEc: Add citation now
  29. Giannoni, M. P., and M. Woodford. 2003. How Forward-Looking is Optimal Monetary Policy? Journal of Money, Credit, and Banking 35: 1425–1469.

  30. Gorodnichenko, Y., and S. Ng. 2010. Estimation of DSGE Models when the Data are Persistent. Journal of Monetary Economics 57: 325–340.

  31. Harrison, R., K. Nikolov, M. Quinn, G. Ramsay, A. Scott, and R. Thomas. 2005. The Bank of England Quarterly Model. Bank of England London.
    Paper not yet in RePEc: Add citation now
  32. Hodrick, R. J., and E. C. Prescott. 1997. Postwar US Business Cycles: An Empirical Investigation. Journal of Money, Credit, and Banking 29: 1–16.

  33. Iacoviello, M., and S. Neri. 2010. Housing Market Spillovers: Evidence from an Estimated DSGE Model. American Economic Journal: Macroeconomics 2: 125–164.

  34. Ireland, P. N. 2001. Sticky-Price Models of the Business Cycle: Specification and Stability. Journal of Monetary Economics 47: 3–18.

  35. Jiang, M. 2016. By Force of Demand: Explaining Cyclical Fluctuations of International Trade and Government Spending. Journal of Economic Dynamics and Control 69: 249–267.

  36. Justiniano, A., G. E. Primiceri, and A. Tambalotti. 2010. Investment Shocks and Business Cycles. Journal of Monetary Economics 57: 132–145.

  37. Justiniano, A., G. E. Primiceri, and A. Tambalotti. 2011. Investment Shocks and the Relative Price of Investment. Review of Economic Dynamics 14: 102–121.

  38. Kamber, G., J. Morley, and B. Wong. 2018. Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter. Review of Economics and Statistics 100: 550–566.

  39. Lubik, T. A., and F. Schorfheide. 2004. Testing for Indeterminacy: An Application to US Monetary Policy. The American Economic Review 94: 190–217.

  40. Murchison, S., and A. Rennison. 2006. ToTEM: The Bank of Canada’s New Quarterly Projection Model. Bank of Canada.

  41. Murray, C. J. 2003. Cyclical Properties of Baxter-King Filtered Time Series. Review of Economics and Statistics 85: 472–476.

  42. Nelson, C. R. 2008. The Beveridge–Nelson Decomposition in Retrospect and Prospect. Journal of Econometrics 146: 202–206.

  43. Shimer, R. 2009. Convergence in Macroeconomics: The Labor Wedge. American Economic Journal: Macroeconomics 1: 280–297.

  44. Singleton, K. J. 1988. Econometric Issues in the Analysis of Equilibrium Business Cycle Models. Journal of Monetary Economics 21: 361–386.

  45. Slanicay, M. 2016. A Proposal for a Flexible Trend Specification in DSGE Models. Review of Economic Perspectives 16: 73–85.

  46. Smets, F., and R. Wouters. 2003. An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area. Journal of the European Economic Association 1: 1123–1175.

  47. Smets, F., and R. Wouters. 2004. Forecasting with a Bayesian DSGE Model: An Application to the Euro Area. JCMS: Journal of Common Market Studies 42: 841–867.

  48. Smets, F., and R. Wouters. 2007. Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. American Economic Review 97: 586–606.

  49. Whelan, K. 2006. New Evidence on Balanced Growth, Stochastic Trends, and Economic Fluctuations. MPRA Paper No. 5910.

  50. Woodford, M. 2003. Interest and Prices. Princetion: Princetion University Pres
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Uncertainty Shocks and Business Cycle Research. (2020). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo.
    In: Review of Economic Dynamics.
    RePEc:red:issued:20-250.

    Full description at Econpapers || Download paper

  2. The Effect of oil shocks and cyclicality in hiding Indian twin deficits. (2017). Goyal, Ashima ; Kumar, Abhishek.
    In: Indira Gandhi Institute of Development Research, Mumbai Working Papers.
    RePEc:ind:igiwpp:2017-005.

    Full description at Econpapers || Download paper

  3. Where is Indias Growth Headed?. (2016). Pundit, Madhavi ; Patnaik, Ila.
    In: Working Papers.
    RePEc:npf:wpaper:16/159.

    Full description at Econpapers || Download paper

  4. Growth: Now and Forever?. (2014). Mauro, Paolo ; Ho, Giang.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2014/117.

    Full description at Econpapers || Download paper

  5. Credit constraints, equity market liberalization, and growth rate asymmetry. (2014). Popov, Alexander.
    In: Journal of Development Economics.
    RePEc:eee:deveco:v:107:y:2014:i:c:p:202-214.

    Full description at Econpapers || Download paper

  6. Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone. (2014). PHILIPPON, Thomas ; Martin, Philippe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10189.

    Full description at Econpapers || Download paper

  7. Do Weak Institutions Prolong Crises? On the Identification, Characteristics, and Duration of Declines during Economic Slumps. (2014). Bluhm, Richard ; de Crombrugghe, Denis.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4594.

    Full description at Econpapers || Download paper

  8. The European Monetary Union and Imbalances: Is it an Anticipation Story ?. (2014). Siena, Daniele.
    In: Working papers.
    RePEc:bfr:banfra:501.

    Full description at Econpapers || Download paper

  9. The Expectations-Driven U.S. Current Account. (2013). Krause, Michael ; Hoffmann, Mathias ; Laubach, Thomas.
    In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79854.

    Full description at Econpapers || Download paper

  10. How Do Terms of Trade Affect Productivity? The Role of Monopolistic Output Markets. (2013). Llosa, Luis-Gonzalo.
    In: Working Papers.
    RePEc:rbp:wpaper:2013-007.

    Full description at Econpapers || Download paper

  11. An optimal government spending reversal rule in a small open economy. (2013). Kitano, Shigeto ; Takaku, Kenya.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:374-382.

    Full description at Econpapers || Download paper

  12. Informality, financial development and macroeconomic volatility. (2013). Mitra, Shalini.
    In: Economics Letters.
    RePEc:eee:ecolet:v:120:y:2013:i:3:p:454-457.

    Full description at Econpapers || Download paper

  13. Comovement in GDP Trends and Cycles Among Trading Partners. (2012). Sly, Nicholas ; Piger, Jeremy ; Blonigen, Bruce.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18032.

    Full description at Econpapers || Download paper

  14. Did Korean Monetary Policy Help Soften the Impact of the Global Financial Crisis of 2008-2009?. (2012). Lall, Subir ; Alp, Harun ; Elekdag, Selim.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2012/005.

    Full description at Econpapers || Download paper

  15. Cyclicality of the Informal Economy. (2012). Elgin, Ceyhun.
    In: Working Papers.
    RePEc:bou:wpaper:2012/02.

    Full description at Econpapers || Download paper

  16. Long-run growth expectations and global imbalances. (2011). Krause, Michael ; Hoffmann, Mathias ; Laubach, Thomas.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201101.

    Full description at Econpapers || Download paper

  17. The volatility of consumption and output with increasing industrialization. (2011). Zhao, Yan ; Gomme, Paul.
    In: MPRA Paper.
    RePEc:pra:mprapa:33721.

    Full description at Econpapers || Download paper

  18. Labor Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing. (2011). Kabaca, Serdar.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1122.

    Full description at Econpapers || Download paper

  19. Employment Protection and Business Cycles in Emerging Economies. (2011). Urrutia, Carlos ; Lama, Ruy.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/293.

    Full description at Econpapers || Download paper

  20. Inequality and Volatility Moderation in Russia: Evidence from Micro-Level Panel Data on Consumption and Income. (2010). Stolyarov, Dmitriy ; Sabirianova Peter, Klara ; Gorodnichenko, Yuriy.
    In: Review of Economic Dynamics.
    RePEc:red:issued:09-198.

    Full description at Econpapers || Download paper

  21. Budget Institutions and Fiscal Performance in Low-Income Countries. (2010). Lledo, Victor Duarte ; Prakash, Tej ; Gollwitzer, Sophia ; Allen, Richard I ; Zanna, Luis-Felipe ; Yackovlev, Irene ; Kvintradze, Eteri ; Dabla-Norris, Era.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2010/080.

    Full description at Econpapers || Download paper

  22. Immigration, remittances, and business cycles. (2010). Zlate, Andrei ; Mandelman, Federico.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2008-25.

    Full description at Econpapers || Download paper

  23. Growth in the Shadow of Expropriation. (2009). Amador, Manuel ; Aguiar, Mark.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15194.

    Full description at Econpapers || Download paper

  24. Risk Matters: The Real Effects of Volatility Shocks. (2009). Uribe, Martín ; Rubio-Ramirez, Juan F ; Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerrn-Quintana, Pablo A. ; Rubio-Ramrez, Juan ; Fernndez-Villaverde, Jess.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14875.

    Full description at Econpapers || Download paper

  25. International Risk Sharing During the Globalization Era. (2009). Matsumoto, Akito ; Flood, Robert P ; Marion, Nancy P.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/209.

    Full description at Econpapers || Download paper

  26. Output Collapses and Productivity Destruction. (2009). Fernandez-Arias, Eduardo ; Daude, Christian ; Blyde, Juan.
    In: Research Department Publications.
    RePEc:idb:wpaper:4610.

    Full description at Econpapers || Download paper

  27. The international cycle and Colombian monetary policy. (2009). Mahadeva, Lavan ; Gómez-Pineda, Javier ; Gomezpineda, Javier.
    In: Borradores de Economia.
    RePEc:col:000094:005406.

    Full description at Econpapers || Download paper

  28. The international cycle and Colombian monetary policy. (2009). Mahadeva, Lavan ; Gómez-Pineda, Javier ; Gomezpineda, Javier.
    In: Borradores de Economia.
    RePEc:bdr:borrec:557.

    Full description at Econpapers || Download paper

  29. A Neoclassical Analysis of The Korean Crisis. (2008). Otsu, Keisuke.
    In: Review of Economic Dynamics.
    RePEc:red:issued:06-208.

    Full description at Econpapers || Download paper

  30. Democracy, Diversification, and Growth Reversals. (2008). Cuberes, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:8430.

    Full description at Econpapers || Download paper

  31. Democracy, Diversification, and Growth Reversals. (2008). Jerzmanowski, Michal ; Cuberes, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:11646.

    Full description at Econpapers || Download paper

  32. The US as the Demander of Last Resort and its Implications on Chinas Current Account. (2008). Jinjarak, Yothin ; Aizenman, Joshua.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14453.

    Full description at Econpapers || Download paper

  33. The Forgotten History of Domestic Debt. (2008). Rogoff, Kenneth ; Reinhart, Carmen.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13946.

    Full description at Econpapers || Download paper

  34. Inventories, Lumpy Trade, and Large Devaluations. (2008). Midrigan, Virgiliu ; Kaboski, Joseph ; Alessandria, George.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13790.

    Full description at Econpapers || Download paper

  35. Do institutions matter for economic fluctuations? Weak property rights in a business cycle model for Mexico. (2008). Vassilatos, Vanghelis ; Economides, George ; Angelopoulos, Konstantinos.
    In: Working Papers.
    RePEc:gla:glaewp:2008_38.

    Full description at Econpapers || Download paper

  36. Heterogeneous borrowers in quantitative models of sovereign default. (2008). Sapriza, Horacio ; Martinez, Leonardo ; Hatchondo, Juan.
    In: Working Paper.
    RePEc:fip:fedrwp:07-01.

    Full description at Econpapers || Download paper

  37. Inventories, lumpy trade, and large devaluations. (2008). Midrigan, Virgiliu ; Kaboski, Joseph ; Alessandria, George.
    In: Working Papers.
    RePEc:fip:fedpwp:08-3.

    Full description at Econpapers || Download paper

  38. Inventories, lumpy trade, and large devaluations. (2008). Midrigan, Virgiliu ; Kaboski, Joseph ; Alessandria, George.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-08-07.

    Full description at Econpapers || Download paper

  39. Emerging market business cycles revisited: learning about the trend. (2008). Durdu, C. Bora ; Daude, Christian ; Boz, Emine.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:927.

    Full description at Econpapers || Download paper

  40. Inventories, lumpy trade, and large devaluations. (2008). Midrigan, Virgiliu ; Kaboski, Joseph ; Alessandria, George.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2008-24.

    Full description at Econpapers || Download paper

  41. Persistent Gaps and Default Traps. (2008). Kapur, Sandeep ; Fostel, Ana ; Catão, Luis ; Luis A. V. Catão, .
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0803.

    Full description at Econpapers || Download paper

  42. Capital Flows to Developing Countries: The Allocation Puzzle. (2007). Jeanne, Olivier ; Gourinchas, Pierre-Olivier.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13602.

    Full description at Econpapers || Download paper

  43. The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime. (2007). Shambaugh, Jay ; di Giovanni, Julian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13467.

    Full description at Econpapers || Download paper

  44. Investment Cycles and Sovereign Debt Overhang. (2007). Gopinath, Gita ; Amador, Manuel ; Aguiar, Mark.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13353.

    Full description at Econpapers || Download paper

  45. Do institutions matter for economic fluctuations? Weak property rights in a business cycle model for Mexico. (2007). Vassilatos, Vanghelis ; Economides, George.
    In: Working Papers.
    RePEc:gla:glaewp:2007_35.

    Full description at Econpapers || Download paper

  46. Quantitative models of sovereign default and the threat of financial exclusion. (2007). Sapriza, Horacio ; Martinez, Leonardo ; Hatchondo, Juan.
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:2007:i:sum:p:251-286:n:v.93no.3.

    Full description at Econpapers || Download paper

  47. The economics of sovereign defaults. (2007). Sapriza, Horacio ; Martinez, Leonardo ; Hatchondo, Juan.
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:2007:i:spr:p:163-187:n:v.93no.2.

    Full description at Econpapers || Download paper

  48. Emerging markets in financial globalization: striking the right balance for liberalization. (2007). Watanagase, Tarisa.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2007:x:6.

    Full description at Econpapers || Download paper

  49. The Role of Expectations in Sudden Stops. (2007). Mertens, Karel.
    In: Working Papers.
    RePEc:ecl:corcae:07-10.

    Full description at Econpapers || Download paper

  50. Real Business Cycles in Emerging Countries?. (2006). Uribe, Martín ; Pancrazi, Roberto ; Garcia Cicco, Javier ; Garcia-Cicco, Javier.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12629.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 07:36:50 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.